3 papers
q-fin.MF2026
Amortizing the Calibration Triple: A Projection-Consistent Neural Operator for Local-Stochastic Volatility
Xiaozhen Wang, Anaïs Després, Martin Dureau +1
Local-stochastic volatility (LSV) combines vanilla marginals with richer smile dynamics, but calibration requires a slow, noisy and sequential McKean--Vlasov fixed point. We learn…
math.PR2026
Generalized specific entropy on Wiener space with application to Martingale Optimal Transport
Francois Buet-Golfouse, Anaïs Després, Zhenjie Ren +1
Classical entropy regularization is poorly suited to continuous-time martingale transport, since relative entropy between diffusion laws typically forces their volatility character…
stat.ML2025
How Patterns Dictate Learnability in Sequential Data
Mario Morawski, Anais Despres, Rémi Rehm
Sequential data - ranging from financial time series to natural language - has driven the growing adoption of autoregressive models. However, these algorithms rely on the presence…